EMFX - Times Series Forecasting using ARIMA Model

Import Libraries

EMFX Historical Charts (2y lookback)

Selection of Appropriate Time Series Model

The next step after cleaning the data is checking for stationarity.

Stationarity Check on EMFX Data

Let's take first differences and see if this makes a difference.

The data becomes stationary after taking first differences, hence we can use the ARIMA model.

Finding the p, q and d order of the ARIMA model

Forecast FX rate using optimal ARIMA model parameters

CEEMEA FX - Predicted vs Actual (charts)